CRS Options History — December 2011

In December 2011, CRS traded between $47.82 and $54.19. ATM implied volatility averaged 44.8%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 10.9% (HV 20d: 55.6%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-12-16: Highest Volume — 754 contracts
  • 2011-12-12: Largest IV spike — 36.4% change
  • 2011-12-12: Highest IV Rank — 46.3%
  • 2011-12-08: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.64$47.82$54.19$54.19$51.48
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV44.8%38.3%53.6%43.3%45.3%
Expected Move13.0%11.0%14.9%12.4%13.0%
HV 20d55.6%46.1%62.2%55.6%46.2%
HV 60d59.3%54.3%61.1%60.9%54.3%
IV Rank32.4%22.1%46.3%30.0%33.2%
IV Percentile62.1%36.1%81.7%65.1%64.3%
Term Structure4.1%1.9%6.6%3.7%5.2%
VWIV45.6%38.3%50.7%47.9%42.9%
Skew 25d9.7%7.9%11.4%11.1%9.5%
Skew 10d20.2%15.3%38.9%38.9%16.7%
Call IV 25d41.8%37.4%47.4%39.0%39.7%
Put IV 25d51.4%45.6%56.1%50.1%49.2%
Bid-Ask Spread %34.2717.9060.5247.5928.30
Gamma HHI0.290.140.470.360.29
Net GEX129.7K-3.5K245.5K245.5K134.6K
Net DEX-2.5M-5.3M703.7K-5.3M-2.4M
Net VEX-19.8K-25.9K-14.3K-25.9K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.004.201.411.00
Total Volume126.8572075416620
Total OI4,011.4762,5904,9254,7613,115

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$54.19$50.0043.3%12.4%55.6%30.0%47.9%11.1%3.7%245.5K-5.3M-25.9K1.4147.59N/AN/A69972,9221,839
2011-12-02$52.79$50.0042.7%12.2%55.2%29.1%44.4%11.4%3.7%207.7K-4.2M-23.5K0.1760.52N/AN/A119202,9471,821
2011-12-05$52.84$50.0043.5%13.4%55.1%30.4%46.2%11.0%2.7%229.4K-4.0M-22.6K0.4948.17N/AN/A88432,9501,817
2011-12-06$53.00$50.0043.9%12.9%54.9%31.0%0.0%9.7%4.0%230.8K-4.1M-21.8K0.5738.59N/AN/A1482,9601,845
2011-12-07$52.55$50.0045.2%13.1%54.9%33.1%45.7%10.7%3.7%213.1K-3.6M-21.1K0.2217.90N/AN/A54122,9591,851
2011-12-08$50.61$50.0053.4%14.9%50.7%46.1%50.4%9.8%2.0%126.7K-2.0M-19.8K4.2031.74N/AN/A10422,9651,841
2011-12-09$52.67$50.0039.3%12.7%52.6%23.7%45.9%11.1%4.7%233.6K-3.7M-19.8K0.2334.10N/AN/A2252,9751,856
2011-12-12$50.91$50.0053.6%14.5%53.0%46.3%45.8%11.1%2.1%119.0K-2.0M-17.5K0.6734.08N/AN/A52352,9801,851
2011-12-13$48.32$50.0051.3%14.1%55.7%42.7%49.5%9.3%1.9%19.1K77.7K-15.1K0.5434.73N/AN/A140762,9841,862
2011-12-14$47.82$50.0039.4%14.3%55.6%23.9%48.4%8.7%2.9%-3.5K703.7K-14.3K0.1224.40N/AN/A7692,9751,921
2011-12-15$49.84$50.0048.1%13.8%57.9%37.7%50.6%8.8%3.5%398-826.3K-15.1K0.7926.36N/AN/A62493,0061,919
2011-12-16$51.30$50.0046.8%13.4%58.6%35.7%44.7%8.8%4.1%35.2K-2.8M-15.2K0.2036.21N/AN/A6271272,9761,940
2011-12-19$49.29$50.0046.6%13.4%60.2%35.3%50.7%7.9%4.2%60.8K-862.3K-17.7K0.2140.50N/AN/A182381,794796
2011-12-20$52.28$50.0045.4%13.0%62.2%33.4%41.9%8.2%5.6%101.2K-2.2M-19.9K0.2930.93N/AN/A98281,911821
2011-12-21$52.10$50.0045.0%12.9%62.1%32.7%41.9%10.1%3.9%105.9K-2.3M-20.6K0.2034.01N/AN/A4692,003843
2011-12-22$52.55$50.0038.6%11.1%59.1%22.7%43.4%9.1%6.6%118.5K-2.5M-21.1K0.0426.51N/AN/A5022,041852
2011-12-23$52.80$50.0038.3%11.0%59.0%22.1%38.3%8.3%6.4%127.8K-2.7M-21.3K1.2722.77N/AN/A11142,090854
2011-12-27$53.03$50.0039.0%11.2%56.6%23.3%42.5%7.9%6.0%137.4K-2.9M-21.0K0.0447.01N/AN/A12852,100868
2011-12-28$51.83$50.0046.2%13.2%57.4%34.7%42.9%10.6%4.2%137.1K-2.6M-20.9K1.9227.04N/AN/A26502,209868
2011-12-29$52.18$50.0045.2%13.0%46.1%33.1%0.0%9.7%5.8%143.4K-2.7M-20.8K0.0028.13N/AN/A10102,223891
2011-12-30$51.48$50.0045.3%13.0%46.2%33.2%0.0%9.5%5.2%134.6K-2.4M-20.3K1.0028.30N/AN/A10102,224891